Context: Depression among adolescents, especially among girls, is a rising public health problem worldwide. It has been associated with a profound negative impact on their physical, social, and mental well-being. Aim of the Study: To ascertain the factors associated with depression among school-going adolescent girls in district Barabanki of Uttar Pradesh. Settings and Design: School-based cross-sectional study. Subject and Methods: The study was conducted among 2187 school-going adolescent girls (10–19 years) in Barabanki district from September 2016 to September 2017 using multistage sampling. Sociodemographic characteristics such as age, residence, family background, and socioeconomic status were assessed through direct interview of the adolescent girl, with its reconfirmation from school records. Eleven-item Kutcher Adolescent Depression Scale was used for assessment of depression. Statistical Analysis Used: Probability (P) was calculated to test for statistical significance at 5% level of statistical significance. Association between risk factors and depression was determined using bivariate analysis followed by multivariate logistic regression. Results: The prevalence of depression was found to be 39.7%. Multiple logistic regression revealed that depression was significantly higher among those residing in rural areas [odds ratio (OR) 3.32; P < 0.001], those in early and mid-adolescent age group (OR 2.51; P < 0.001), those studying in private schools (OR 3.22; P < 0.001), and those with Hindi as the medium of instruction (OR12.50; P < 0.001). Depression was also found to be significantly higher among those whose mothers were educated up to primary (OR 3.19; P < 0.01) or up to intercollege (OR 1.59; P < 0.001) when compared with illiterate mothers. Similarly, depression was found to be more common among those girls whose fathers were educated up to intercollege (OR 1.29; P < 0.05) or were graduate and above (OR 1.58; P < 0.001). Conclusion: A significant proportion of school-going adolescent girls were suffering from depression, which reflects the need for reinforcement and strengthening of school-based mental health screening programs. Parents, teachers, and community health workers should work as a team to deal with the problem in a more effective way.